Consumption, Dividends, and the Cross Section of Equity Returns
发现，现金流中蕴含的总体消费风险可以解释账面市值比、动量及规模分组组合中风险溢价差异的60%以上，表明现金流风险对理解资产间风险补偿差异至关重要。
ABSTRACT We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book‐to‐market, momentum, and size‐sorted portfolios. The dynamics of aggregate consumption and cash flow growth rates, modeled as a vector autoregression, are used to measure the consumption beta of discounted cash flows. Differences in these cash flow betas account for more than 60% of the cross‐sectional variation in risk premia. The market price for risk in cash flows is highly significant. We argue that cash flow risk is important for interpreting differences in risk compensation across assets.